I also use Finale, and there's no problem. The whole page is treated by the program as a single score, usually 12 x 8 bars, but it allows key (and time) changes wherever you want them. The end product looks like it has up to 6 separate tunes on it. Takes a little bit of thrashing with a stick to make it do what I want, rather than what it thinks I ought to want, but I've more or less beaten it into submission now. You can even widen the gap between every other stave, to make the tunes look more separate.

Just apply lateral thinking!!

Andrew